Question: In a single-index model, the following table gives the expected returns, alphas (a)standard deviation (o), beta () and firm-specific standard deviation (o) for the market,

In a single-index model, the following table gives the expected returns, alphas (a)standard deviation (o), beta () and firm-specific standard deviation (o) for the market, the risk-free asset, the three stocks A, B and C, all in annualized terms. Asset E[r] a o B 0 5.0% 30.0% 1.00 B 10.0% -5.0% 100.0% 10.0% 0.50 40.0% Market 5.0% 20.0% Risk-free 0.0% Find the beta of Asset B. 1 1.5 2 3

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